Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0143 |
| Annualized Std Dev | 0.0793 |
| Annualized Sharpe (Rf=0%) | -0.1802 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2984.0000 |
| NAs | 1.0000 |
| Minimum | -0.0215 |
| Quartile 1 | -0.0028 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0413 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0050 |
| Skewness | 0.0844 |
| Kurtosis | 2.8162 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0035 |
| Gain Deviation | 0.0033 |
| Loss Deviation | 0.0034 |
| Downside Deviation (MAR=210%) | 0.0097 |
| Downside Deviation (Rf=0%) | 0.0036 |
| Downside Deviation (0%) | 0.0036 |
| Maximum Drawdown | 0.3279 |
| Historical VaR (95%) | -0.0082 |
| Historical ES (95%) | -0.0113 |
| Modified VaR (95%) | -0.0079 |
| Modified ES (95%) | -0.0113 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2020-03-20 | NA | -0.3279 | 2424 | 2199 | NA |
| 2009-12-02 | 2010-06-07 | 2011-04-28 | -0.1543 | 354 | 128 | 226 |
| 2009-01-29 | 2009-03-09 | 2009-03-19 | -0.0572 | 30 | 22 | 8 |
| 2009-03-20 | 2009-04-20 | 2009-05-08 | -0.0417 | 34 | 21 | 13 |
| 2009-06-03 | 2009-06-15 | 2009-07-22 | -0.0393 | 35 | 9 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -1.4 | -0.4 | -0.1 | -0.1 | -0.1 | 0.5 | 1.2 | -0.9 | -0.7 | -0.3 | 0.4 | 0.2 | -1.5 |
| 2010 | 0 | -0.4 | 0 | 0.2 | 0.4 | 1.8 | 0.4 | 0.7 | 0.5 | -0.4 | 0.2 | 0.7 | 4 |
| 2011 | 0.8 | 0.1 | -0.2 | 0.5 | -0.3 | -0.2 | -0.8 | -0.8 | -0.5 | -1.6 | -0.9 | 0.7 | -3.1 |
| 2012 | 0.8 | 0 | 0.5 | 0 | -0.3 | 1 | -0.2 | 0.4 | -0.1 | -0.3 | -0.3 | -0.2 | 1.3 |
| 2013 | 0.3 | -0.4 | 0.6 | -0.2 | -0.1 | 0.8 | -0.5 | -0.2 | 0 | -0.1 | 0.2 | -0.3 | 0.2 |
| 2014 | -0.1 | 0.5 | -0.2 | -0.2 | 0.1 | 0 | 0 | -0.5 | 0.1 | -1.2 | -0.1 | 0.1 | -1.4 |
| 2015 | 0 | -0.2 | 0.1 | -0.4 | -0.7 | -0.7 | 0.1 | 0.8 | 0.2 | 0.2 | 0.6 | -0.2 | -0.2 |
| 2016 | 0.5 | -0.2 | 0.2 | 0.7 | 0.1 | 0.5 | -0.4 | 0.5 | 0 | 0.6 | 0.1 | 0.1 | 2.6 |
| 2017 | 0 | -0.8 | -0.1 | -0.2 | 0.2 | 0.4 | -0.2 | -0.1 | 0.3 | -0.5 | 0.2 | 0.4 | -0.4 |
| 2018 | 0.5 | -0.1 | 0.1 | -0.7 | -0.4 | 0.5 | -0.2 | -0.3 | -0.1 | 0.8 | -0.6 | 0.1 | -0.3 |
| 2019 | 0 | -0.3 | -0.2 | -0.2 | 0.4 | -0.4 | 0 | -0.3 | -0.1 | 0 | -0.1 | 0.2 | -1.1 |
| 2020 | 0.4 | 0.9 | 0 | 0.3 | 0.7 | 0.2 | -0.1 | -0.1 | 0.2 | 0 | 0.9 | -0.2 | 3.2 |
| 2021 | -0.6 | -0.3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
